Continuous Time Analysis of Fleeting Discrete Price Moves
Author:
Affiliation:
1. Department of Economics and Department of Statistics, Harvard University, Boston, MA
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/01621459.2016.1192544
Reference57 articles.
1. Al Dayri, K. A. (2011), “Market Microstructure and Modeling of Trading Flow,” unpublished Ph.D. dissertation, Ecole Polytechnique, Paris.
2. The Distribution of Realized Exchange Rate Volatility
3. Modelling microstructure noise with mutually exciting point processes
4. Some limit theorems for Hawkes processes and application to financial statistics
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